Predictive online convex optimization

Online Convex Optimization

A convex repeated game is a two players game that is performed in a sequence of consecutive rounds. On round t of the repeated game, the first player chooses a vector wt from a convex set A. Next, the second player responds with a convex function gt : A → R. Finally, the first player suffers an instantaneous loss gt(wt). We study the game from the viewpoint of the first player. In offline conve...

Online convex optimization

1.1 Definitions We say a set S ⊆ Rd is convex if for any two points x,x′ ∈ S, the line segment conv{x,x′} := {(1−α)x+αx′ : α ∈ [0, 1]} between x and x′ (also called the convex hull of {x,x′}) is contained in S. Overloading terms, we say a function f : S → R is convex if its epigraph epi(f) := {(x, t) ∈ S × R : f(x) ≤ t} is a convex set (in Rd × R). Proposition 1. A function f : S → R is convex ...

Online Convex Optimization

Online Learning and Online Convex Optimization

Online learning is a well established learning paradigm which has both theoretical and practical appeals. The goal of online learning is to make a sequence of accurate predictions given knowledge of the correct answer to previous prediction tasks and possibly additional available information. Online learning has been studied in several research fields including game theory, information theory, ...

Online Convex Optimization Using Predictions

Making use of predictions is a crucial, but under-explored, area of online algorithms. This paper studies a class of online optimization problems where we have external noisy predictions available. We propose a stochastic prediction error model that generalizes prior models in the learning and stochastic control communities, incorporates correlation among prediction errors, and captures the fac...